Figures 4 and 5 show the portfoliolossdistribution of our model compared with Merton Relative Loss Comparing the Models The problem with comparing the diﬀerent models is that we estimate extreme losses lying far outside the sample. For our data

The 95th and 99th percentile of the lossdistribution of the actual estimated model ... defaults between January 1998 and December 2002. The 95th and 99th percentile losses ... of the distribution implied by the fitted frailty model, therefore constituting a relatively

is revealed if correlations are high. portfoliolossdistributionportfoliolossdensity ... Figure 1: Portfoliolossdistribution and portfolioloss density8 Figure 1 shows a typical lossdistribution and lossdensity of a moderately heterogeneous ... j → 1 , these peaks turn into point masses. 2. Lossdistributions integrating country risk A risk factor that is rarely considered in credit portfolio analysis is country risk10

are in Table III. A representative lossdensity, the one implied by the dynamic model ... to the lossdensity implied by the static model (Model 1) in Figure 3 (for more plots of lossdensities, see also Figure 6 in Appendix E). The dynamic model lossdensity